variables or which ones to use. The results of a recursive forecasting exercise reveal a statistically significant increase in …

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …

. Forecasting from such a model assuming "no structural break" and "correct model" is tantamount to ignoring important aspects of …) a random walk model. Optimal IC approach, though computational intensive, outperforms in forecasting next period …

as benchmark. Finally, we replicate the forecasting experiment including as predictors both an indicator of unemployment …

variables compared to standard, univariate, forecasting methods. We evaluate the impact of using combined information in the …

improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques …-horizon Superior Predictive Ability (uSPA) tests, used to select the best forecasting model by combining different horizons. Our sample … forecasting horizons that are more than one month ahead using the mean square error, and the aggregated ETS has better forecasting …

, including statistical misspecification, non-identification of deep parameters, substantive inadequacy, weak forecasting …

walk model suggests that the forecasting performance of the monetary model is superior. …